Yes it is possible. I'm assuming you're treating an image or text that you want to super over something in FCP.
Make sure the background layer is black. Go ahead and treat the image or text. If you have any drop shadow or other layer effects you'll need to rasterize the layer before export. Once it's ready, in the Layers Palette go to your image or text's layer and right click (control click) on it and choose "Select Layer Transparancy". Then go to the Channels Palette and choose "Save selection as channel". This will give you a new channel, which is your alpha. Now go to "Save As..." in the File menu and save your selection as either a PICT or TIFF. (I used to only be able to save as a PICT but with CS2 I can also save as a TIFF. I don't know why.)